Trading Edge 12
Instrument/asset
S&P 500 (SPY)
Trading rules
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
- The highest volume over the last 10 days; and
- The close is above yesterday’s high.
Results
Trading performance if exit after N-days (100 000 and compounding since 1993):
There is a very negative edge in the near term. If we sell after three days we get the following equity curve:
The negative drag is huge and it might be turned into a short strategy.